个股系统流动性风险与预期回报_基于套利定价模型的检验

ＣｏｎｔｅｍｐｏｒａｒｙＦｉｎａｎｃｅ＆Ｅｃｏｎｏｍｉｃｓ—————————————————2009-11-1070971114“211”73300037、、。２０103304ＣＯＮＴＥＭＰＯＲＡＲＹＦＩＮＡＮＣＥ＆ＥＣＯＮＯＭＩＣＳＮＯ．3，２０10ＳｅｒｉａｌＮＯ．304、AmihudMendelson1986[1]。。Chordia2000HasbrouckSeppi,2001Amihud,2002KorajczykSadka,2007。[2-5]20042009。[6-7]。Kamara2008[8]。Amihud2002。[4]。1996-2007。Brennan1998[9]。10%。121.1000292.430074。1994-2007。。：Ｆ830.91：Ａ：１００５－０８９２(２０10)03－０051－1051ＣｏｎｔｅｍｐｏｒａｒｙＦｉｎａｎｃｅ＆Ｅｃｏｎｏｍｉｃｓ。“”。。。。“”、、、。12。、AmihudMendelson1986。[1]Brennan1998、BrennanSubrahmanyam1996、Jacoby2000。[9-11]PastorStambaugh2003AcharyaPedersen2005。[12-13]AcharyaPedersen2005。[13]Kamara20081963-2005。Beta。[8]。1994-2007Resset。A。1996-2007144。1A2IPO3104IPO24。797.7。、。Amihud2002。[4]。AMIHUD２０10330452ＣｏｎｔｅｍｐｏｒａｒｙＦｉｎａｎｃｅ＆Ｅｃｏｎｏｍｉｃｓ2008AMIHUD。[14]20082006[14-15]AMIHUDAcharyaPedersen2005。[13]Harbrouck2006AMIHUD。[16]AMIHUDAmihud2002。idAMIHUDAMIHUDi,d=Ri,dDOLVOLi,d1Ri,dDOLVOLi,did。id△ILLIQi,d△ILLIQi,d≡lnRi,dDOLVOLi,d/Ri,d-1DOLVOLi,d-11111111111111111112Chordia2000Kamara20081△ILLIQi,dDOLVOLi,dDOLVOLi,d-1Ri,dRi,d-1△ILLIQi,d21994-2007△ILLIQi,d1%。△ILLIQm,d。△ILLIQm,d△ILLIQi,d。△ILLIQi,d△ILLIQm,d。1996-2007tt-1t-24△ILLIQi,d△ILLIQm,d△ILLIQi,d=a+βILLIQi△ILLIQm,d+εi,d3βILLIQi。βILLIQitBETA。BETAPastorStambaugh2003BETA。BETA。3。1994-2007△ILLIQm,d△ILLIQm,d。1A△ILLIQm,d1994-2007。1B△ILLIQm,d1994-2007△ILLIQm,d。3BETA。53ＣｏｎｔｅｍｐｏｒａｒｙＦｉｎａｎｃｅ＆Ｅｃｏｎｏｍｉｃｓ、。。。FamaMacBeth1973。[17]BETA。。BrennanChordiaSubrahmanyamBCS1998。[9]BCSiLR軒i,t=ERi,t軒軒+Lk=1Σβi,kf軇k,t+e軇i,t4R軒i,titf軇k,ttkk=1,2,…,L。APTERi,t軇軒-RF,t=Lk=1Σθk,tβi,k5RF,tθk,tk。54R軒i,t-RF,t=Lk=1Σβi,kF軌k,t+e軇i,t6F軌k,t≡θk,t+f軇k,tk。FamaFrench1993。[18]ILLIQi,t。Fama-MacBethR軒i,t+1-RF,t+1=c0+准ILLIQi,t+ΦβILLIQi,t+Lk=1Σβi,kf軇k,t+Mm=1ΣcmZm,i,t+e軇i,t+171△ILLIQm,dAB２０10330454ＣｏｎｔｅｍｐｏｒａｒｙＦｉｎａｎｃｅ＆ＥｃｏｎｏｍｉｃｓILLIQi,titβILLIQi,tit3Zm,i,titmm=1,…,M7。βi,k准、Φcm。1996-20077、、。Brennan1998Fama-MacBeth。[9]BCS。Fama-French1993tt-1t-24246Fama-Frenchβi,kt。R軒i,t-RF,t、MKTt、SMBtHMLtβ赞i,k軒R*it=R軒i,t-RF,t軒軒-β赞i,1MKTt+β赞i,2SMBt+β赞i,3HMLt軒軒8軒R*itR_riskadj。Fama-MacBeth軒R*i,t-1=c0,t+准tILLIQi,t+ΦβILLIQi,t+Lk=1Σβi,kf軇k,t+Mm=1ΣcmZm,i,t+e軇i,t+1991R_excess2R_riskadj。Size、BTMMOM1—MOM4。MVSizeMVBTM/MOM1t-1t-3MOM2t-4t-6MOM3t-7t-9MOM4t-10t-12RfRmAMKTSMBHML。1。。1AMOM1—MOM4。1B。、/-0.0940.393/。1996-2007Small_CapLarge_Cap。BETA。2。220022002。200255ＣｏｎｔｅｍｐｏｒａｒｙＦｉｎａｎｃｅ＆Ｅｃｏｎｏｍｉｃｓ2。11996-2007R_excessR_riskadjSIZEBTMMOM1MOM2MOM3MOM4ILLIQβILLIQPanelA:MEAN0.0210.01721.462-1.2650.0170.0160.0150.011-6.3430.992MEDIAN0.0070.00621.349-1.1940.0100.0090.0090.004-6.2631.024STD0.100.110.7740.5560.0550.0540.0540.0520.9200.254PanelB:PEARSONR_excess1.0000.872***-0.031*0.036***-0.0150.0180.003-0.0000.051***0.001R_riskadj1.000-0.017***0.021*-0.0120.002-0.032***0.0050.044***0.002SIZE1.000-0.0060.132***0.137***0.134***0.139***-0.647***-0.094***BTM1.000-0.168***-0.128***-0.108***-0.102***-0.0010.393***MOM11.000-0.043***0.031***0.015-0.220***-0.049***MOM21.000-0.041***0.023**-0.158***-0.077***MOM31.000-0.035**-0.157***-0.100***MOM41.000-0.151***-0.124***ILLIQ1.0000.131***βILLIQ1.0001996-2007。。。Pearson。***、***1%、5%10%。ILLIQ0.131。ILLIQSIZE。２０10330456ＣｏｎｔｅｍｐｏｒａｒｙＦｉｎａｎｃｅ＆Ｅｃｏｎｏｍｉｃｓ2R_excessR_riskadj。2Fama-MacBethtR2AvgR_square。13R_excess46FamaFrench1992R_riskadj。14。1SIZE20012004BTM//20032004。[19-22]JegadeeshTitman1993MOM2。[23]4R_riskadj/FamaFrench1992。25。。36。3βILLIQ10%。βILLIQ6βILLIQ。2SIZEBTMMOM1MOM2MOM3MOM4ILLIQβILLIQAvgR_squarePanelA:R_excess112.725***2.69-0.452**-2.240.778**2.234.4801.336.617***2.810.6040.351.9291.330.09727.1951.50-0.017-0.080.806**2.514.7701.595.987**2.600.1060.061.9311.350.559***3.370.10637.998*1.68-0.015-0.070.846***2.694.7841.606.071***2.64-0.065-0.031.6481.180.579***3.57-0.656*-1.760.109PanelB:R_riskadj46.573*1.97-0.193-1.320.5631.542.5180.642.0980.67-5.406**-2.020.3290.160.08651.9660.540.1791.020.591*1.703.2950.872.2290.69-5.294*-1.920.6120.290.510***3.050.09463.0510.830.1700.990.676**1.983.5630.952.2530.70-5.464**-1.980.3310.160.530***3.25-0.661-1.400.0981996-2007。。。100。AvgR_square。***、***1%、5%10%。。AcharyaPedersen2005“”。[13]。。57ＣｏｎｔｅｍｐｏｒａｒｙＦｉｎａｎｃｅ＆Ｅｃｏｎｏｍｉｃｓ。AcharyaPedersen2005。。。。ILLIQILLIQi,t=1Di,tDi,tt=1ΣlnRi,t,dDOLVOLi,t,dΣΣ10Ri,t,dDOLVOLi,t,ditdDi,tit。ILLIQ。。93A。3A。、/。1996-2007Small_CapLarge_Cap。93B。3B。/、R_riskadj。3SIZEBTMMOM1MOM2MOM3MOM4ILLIQβILLIQAvgR_squarePanelA:114.299**2.14-0.138-0.470.438*1.933.6181.183.669*1.761.5940.822.5681.311.123***5.83-0.106-0.270.09421.8720.280.1040.341.243**2.155.9171.168.407**2.08-1.679-0.500.7530.380.0500.21-1.190*-1.920.125R_riskadj32.3620.500.3151.430.556*1.912.4610.470.3150.06-2.800-0.73-1.742-0.560.868***3.53-0.565-1.170.100R_riskadj43.7200.650.0290.110.7931.294.6350.874.1370.98-8.055**-2.022.3460.840.2030.96-0.755-0.940.096PanelB:R_excess127.336***3.39-0.850**-2.211.163***3.034.4921.646.020**2.420.7100.422.1491.030.940***4.550.0040.010.083R_excess22.8200.580.1620.770.791**2.527.9641.586.649**2.400.2200.091.9511.230.361**2.15-1.094**-2.020.113R_riskadj330.714***4.09-1.041***-2.871.244***3.124.3301.142.2620.68-4.661**-1.76-0.245-0.100.928***4.36-0.004-0.010.098R_riskadj4-0.257-0.060.2481.220.3851.076.1911.142.6280.71-5.598*-1.731.4120.560.302*1.79-1